Did you ever see a video of a proto-boeing-787 flying _before_ the testbed version of a boeing-787 flew? No, you didn't. Why not? Here's a craft that is _designed_ to fly in earths atmosphere, and they _never even tested it before building it_! 

The answer is that computers and wind tunnels are _fantastically_ good at reproducing the behaviour and environment of flight envelopes, so there is just no need to build a huge physical prototype outside of perhaps scale models for use in wind tunnels (even that is done by computer now).

Why do I talk about aircraft? There is a strong link between aviation and spaceflight, hence the name aerospace. A different atmosphere, a different environment, but that's just variables in a computer simulation. 

As an aside, anyone who has ever played Kerbal Space Program can attest to just how realistic a "simple" game can be in reproducing _most_ of the complexities of space flight and interplanetary travel/landing.

Back to Curiosity, there is a great youtube video which describes the process used to land Curiosity, it's the first 5 minutes, well worth a watch.

https://youtu.be/oNviFQpRvwQ

But you're right, it never shows a trial on Earth, and why would they? It's a different atmosphere, it would be hugely costly to take it to space only to drop it back down again in the wrong environment. And once again, a computer simulation can do it much better, and for a fraction of the cost.

All in all, as with any conspiracy theory we need to apply Occams Razor. What's the simplest explanation? Did they

 - Fake the actual rover
 - Fake taking it to Mars
 - Fake land it
 - Fake every picture and scientific discovery
 - Silence all the thousands of engineers, scientists, mission controllers, etc etc 
 - Silence their critics (who would love to shout about how much of a wast of money space exploration is)

or did they

 - Use some really smart people
 - Use some cool technology
 - Actually land a small-car-sized bit of tech on Mars